Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0007
Annualized Std Dev 0.1548
Annualized Sharpe (Rf=0%) 0.0044

Row

Daily Return Statistics

Close
Observations 4941.0000
NAs 1.0000
Minimum -0.1984
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.1765
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0098
Skewness -0.9926
Kurtosis 84.3654

Downside Risk

Close
Semi Deviation 0.0071
Gain Deviation 0.0076
Loss Deviation 0.0085
Downside Deviation (MAR=210%) 0.0119
Downside Deviation (Rf=0%) 0.0071
Downside Deviation (0%) 0.0071
Maximum Drawdown 0.5265
Historical VaR (95%) -0.0118
Historical ES (95%) -0.0212
Modified VaR (95%) -0.0020
Modified ES (95%) -0.0020
From Trough To Depth Length To Trough Recovery
2007-01-09 2008-10-10 NA -0.5265 3575 444 NA
2001-09-17 2004-05-10 2005-07-26 -0.1945 972 667 305
2005-09-07 2005-10-14 2005-12-02 -0.0703 62 28 34
2006-02-21 2006-06-14 2006-07-21 -0.0371 106 80 26
2006-09-28 2006-10-13 2006-11-29 -0.0351 44 12 32

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA -0.1 1.5 -0.5 -0.2 1 0.7 2.5
2002 -0.2 0.1 0.8 0.4 0 0.9 0.1 -0.1 -0.3 0 0.4 1.2 3.4
2003 1.5 0.4 1.1 -0.2 -0.2 0.4 0.3 0.5 0.7 0.4 0 -0.1 4.8
2004 -0.1 0.2 0.2 -0.5 0.1 0.5 0.3 0.2 -0.8 0.6 -0.1 -0.4 0.1
2005 1 -0.3 0.8 0.3 -0.2 -0.2 0.5 0.4 0.3 0.6 -0.1 -0.6 2.6
2006 0.3 0.9 -0.1 0.5 0.8 -0.4 0.2 -0.1 -0.3 -0.1 0.3 1.6 3.8
2007 0 -0.1 0.3 0.1 0.2 -0.1 -0.2 -1.2 -1.6 0.6 1.7 -0.1 -0.3
2008 -0.2 -0.8 -1.5 0.2 0.3 0.3 0.4 0 0.5 -0.8 -0.8 0.2 -2
2009 -1.5 0 2.2 1.5 0.3 -0.1 -0.6 0.1 1.1 0.4 0.6 0.7 4.8
2010 -0.1 0.6 1.1 0.1 -0.1 0.3 0.6 0.1 0.6 0 -0.4 0.5 3.4
2011 0.9 0.5 0.7 0.3 0 0.4 0.2 0.9 -0.9 0.7 -0.3 -0.7 2.8
2012 -0.3 1.2 0.1 -0.6 0.4 0.4 0.2 1.2 0 0.5 -0.3 0.5 3.3
2013 0.2 0.2 -0.2 0 -1 -0.1 0.1 0.2 0.5 -1.9 -0.4 0.2 -2.4
2014 0.4 -0.2 -0.3 0.3 -0.3 -1 0.2 0.1 0.6 -0.1 0.4 0.2 0.3
2015 0.2 0.3 -0.1 0.1 0.1 0 0.8 0.8 0.4 -0.2 -0.3 0.1 2.3
2016 0.1 0.3 0.4 0.5 0.8 -0.1 0 0.2 -0.2 0.3 -0.1 -0.3 2
2017 0.5 0.6 0.6 -0.1 0.1 0.5 0.3 0 0.6 0.1 0.1 -0.1 3.2
2018 -0.1 -0.5 -0.2 0.3 -0.2 0.1 -0.6 0.3 -0.3 0.8 0 0.7 0.3
2019 0 0.4 0.5 0 -0.9 -0.2 0 -0.3 0.5 0 0.8 -0.1 0.8
2020 0.2 -0.6 -1.9 -0.9 1 0.4 0.8 0.6 1.1 0.1 0.7 0.3 1.6
2021 0.1 0.7 -0.7 NA NA NA NA NA NA NA NA NA 0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-07-27  15   SPY    121.  3.80e-3  -0.0044  -0.0055  -0.0395   -0.169       NA       NA <NA>     NA    NA       NA
2 2001-07-30  15   SPY    121.  3.00e-4   0.016   -0.0106  -0.0325   -0.150       NA       NA <NA>     NA    NA       NA
3 2001-07-31  15.0 SPY    121.  4.10e-3   0.0301  -0.0102  -0.0449   -0.151       NA       NA <NA>     NA    NA       NA
4 2001-08-01  15   SPY    122.  6.30e-3   0.0253  -0.0163  -0.0371   -0.151       NA       NA <NA>     NA    NA       NA
5 2001-08-02  15.1 SPY    123.  4.10e-3   0.0188  -0.012   -0.0208   -0.152       NA       NA <NA>     NA    NA       NA
6 2001-08-03  15.1 SPY    122. -5.50e-3   0.0094   0.0021  -0.0424   -0.162       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart